Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1660
Annualized Std Dev 0.3132
Annualized Sharpe (Rf=0%) -0.5299

Row

Daily Return Statistics

Close
Observations 3212.0000
NAs 1.0000
Minimum -0.1562
Quartile 1 -0.0073
Median -0.0009
Arithmetic Mean -0.0005
Geometric Mean -0.0007
Quartile 3 0.0057
Maximum 0.1585
SE Mean 0.0003
LCL Mean (0.95) -0.0012
UCL Mean (0.95) 0.0002
Variance 0.0004
Stdev 0.0197
Skewness -0.1343
Kurtosis 14.2254

Downside Risk

Close
Semi Deviation 0.0139
Gain Deviation 0.0165
Loss Deviation 0.0158
Downside Deviation (MAR=210%) 0.0186
Downside Deviation (Rf=0%) 0.0141
Downside Deviation (0%) 0.0141
Maximum Drawdown 0.9444
Historical VaR (95%) -0.0238
Historical ES (95%) -0.0486
Modified VaR (95%) -0.0281
Modified ES (95%) -0.0281
From Trough To Depth Length To Trough Recovery
2009-03-09 2021-03-12 NA -0.9444 3030 3024 NA
2008-11-21 2009-01-06 2009-03-05 -0.3709 70 30 40
2008-07-16 2008-09-19 2008-10-09 -0.3207 61 47 14
2008-10-28 2008-11-04 2008-11-12 -0.2024 12 6 6
2008-10-10 2008-10-14 2008-10-27 -0.1892 12 3 9

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA -0.8 -1.1 0.4 -3.6 -5 15.9 -2.9 1.4
2009 2.8 6 -2.2 1.3 -1.7 0.1 -0.7 4.7 3.7 4.1 -0.2 0.4 19.6
2010 -1.4 -0.3 -0.9 2.4 2.1 0.6 0 -3.8 -0.8 0 -2.1 -0.1 -4.3
2011 -1.9 2 -0.8 0.2 3.3 -1.9 0.3 2.2 3.2 4.4 0.8 0.5 12.8
2012 -1.6 -1 -0.3 -0.9 3.6 -2.5 0.8 -0.5 -0.4 -1.1 0 -1.3 -5.4
2013 -1.3 -0.2 0.6 1.1 1.4 -0.4 -1.4 0.7 -0.8 -0.4 0.4 -0.4 -0.8
2014 1 -0.5 -0.4 -0.1 -0.2 -0.9 0.7 -0.3 1.1 -1.3 0.5 1.2 0.7
2015 1.5 0.1 0.1 -0.7 -0.3 -1.1 0.3 3.2 -0.1 1.3 -0.8 1 4.6
2016 0.1 -3.2 -0.6 0.4 -0.1 0.1 0.4 0.4 -0.9 0.9 -0.9 -0.5 -3.9
2017 0.4 -2 0.3 -0.4 -1.1 -0.2 -0.7 -0.5 -0.2 -0.1 -0.2 0.3 -4.3
2018 -0.5 1.3 -1.1 -0.3 -1.1 -0.3 0 -0.1 0.1 -0.6 -0.9 -0.4 -3.7
2019 -0.4 -0.4 -1.8 0.7 1 -0.9 1.6 -0.3 1.7 -0.9 0.3 -0.3 0.1
2020 2 2.1 6 3.1 -1.1 0.2 0.3 0 -0.7 0.3 -1.5 -1.2 9.5
2021 -1.7 -2 1.5 NA NA NA NA NA NA NA NA NA -2.2

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart